Lyu, Chenyan; Do, Hung Xuan; Nepal, Rabindra; Jamasb, Tooraj - 2023
This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the...
